Comparing downside risk measures for heavy tailed distributions

descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 Aug 2006 Netherlands English Publisher:Elsevier BVJournal:Economics Letters, volume 92, pages 202-208 (issn: 0165-1765,

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Authors: Casper G. de Vries; Bjørn N. Jorgensen; Sarma Mandira; Jon Danielsson;

doi: 10.1016/j.econlet.2006.02.004

Comparing downside risk measures for heavy tailed distributions

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Abstract

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Country

Netherlands

Related Organizations

Erasmus University Rotterdam
Netherlands
Indian Statistical Institute
Tinbergen Institute
Netherlands
Indian Statistical Institute
Eindhoven University of Technology
Netherlands

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Keywords

downside risk measures, heavy tailed distribution, Risk theory, insurance, Characterization and structure theory of statistical distributions, regular variation, Downside risk measures; Heavy tailed distribution; Regular variation, Applications of statistics to economics, jel: jel:D81, jel: jel:G11

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